Giraitis, L.; Kokoszka, P.; Leipus, R.; Teyssiere, G. - Groupement de Recherche en Économie Quantitative … - 1999
The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classicla R/S...